The ``classic'' textbook of Electrodynamics is J. D. Jackson's,
Classical Electrodynamics, 3rd ed. It is fairly encyclopedic, but
the material it presents focuses on things that are less important, such
as boundary value problems with obscure Green's functions, at the
expense of multipolar methods and other approaches that treat systems of
charge-current density with no actual boundaries (such as atoms). It
also has a tendency to present a formula, then say something like ``and
from this it can be shown that'' and present a second formula, omitting
the four pages of difficult algebra connecting the two. This can
be hard on students (and instructor), although there is no denying that
any student who can fill in the four pages will have learned something.

H. Wyld, Methods of Mathematical Physics, ISBN
978-0738201252, available from e.g.
http://amazon.com. Other mathematical physics
texts such as Arfken or Morse and Feshback are equivalently useful.

Donald H. Menzel's Mathematical Physics, Dover press, ISBN
0-486-60056-4. This reference has a very nice discussion of dyads and
how to express classical mechanics in tensor form, which is actually
quite lovely.

There is a fabulous complex variable/contour integration reference
by Mark Trodden at Syracuse here:
http://physics.syr.edu/trodden/courses/mathmethods/
This online lecture note/book actually works through the Euler-Lagrange
equation as well, but stops unfortunately short of doing EVERYTHING that
we need in this course. It is only 70 pages, though - probably
unfinished.

Wikipedia:
http://www.wikipedia.org
Wikipedia now contains some excellent articles on real
graduate-level electrodynamics, relativity theory, and more. The math
and science community are determined to make it a one stop shop for
supporting all sorts of coursework. I strongly recommend that
students use it to search for supporting material for this course, or to
find a neat and usually well-written explanation of things when this
text fails them.

Mathworld:
http://mathworld.wolfram.com
This site, too, is very good although some of the articles tend to be
either thin or overly technical at the expense of clarity.

GIYF
(Google Is Your Friend). When looking for help on any
topic, give google a try. I do. It is quite amazing what people put up
on the web, for free.